-
作者：CHEN, ZW; KNEZ, PJ
摘要：We develop a measurement theory of market integration, based on two notions of ''integrated markets.'' First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case, the law of one price is violated across the markets. Second, they cannot be integrated in a stronger sense if there are cross-market arbitrage opportunities. Two measures of market integration are developed, r...
-
作者：BADRINATH, SG; KALE, JR; NOE, TH
作者单位：University System of Georgia; Georgia State University; Purdue University System; Purdue University
摘要：We present an economic mechanism and supportive empirical evidence for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the contemporaneous returns on stocks held by noninstitutional uniformed traders. Evidence consistent with this hypothesis is then presented. We document that the returns on the portfolio of stocks with th...
-
作者：MICHAELY, R; MURGIA, M
作者单位：Cornell University; University of Pavia
摘要：To investigate the effect of taxation on stock price and trading volume around the ex-dividend day, we use the Italian stock market, where dividends on two classes of stock are taxed differently. We find that the weighted average of investors' tax rates is reflected in the ex-day prices and the variance of the relative tax rate across investors is reflected in the volume of trades. We also show that higher transaction costs result in higher ex-dividend day excess returns and lower abnormal vol...
